Least absolute deviation estimation of stationary time series models

This paper is concerned with practical aspects of least absolute deviation (LAD) estimation of Box-Jenkins models for single time series. Formulation of the LAD method as a non-linear programming problem is described. The method is applied to a multiplicative seasonal moving average model for monthl...

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Veröffentlicht in:	European journal of operational research 1993-06, Vol.67 (2), p.272-277
Hauptverfasser:	Dunsmuir, W.T.M., Murtagh, B.A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Estimating techniques Exact sciences and technology LAD estimation Linear programming Mathematical models Mathematical programming Moving averages Non-linear programming Nonlinear programming Operational research and scientific management Operational research. Management science Statistical analysis Time series
Online-Zugang:	Volltext
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